Dynamic weights update for multi-objective binary integer problem using CPLEX

Question

I am optimizing a bi-objective problem using IBM CPLEX v12. CPLEX has a property to blend two objective functions when they are given same priority. The blended objective is then solved based on the weights that are set for the two objectives initially.

I provide some initial weights, however, i want to update them during the optimization process based on the found incumbent values and bounds for the two objectives. I am using callbacks provided by CPLEX for this. My problem is that i am able extract the weights that were initally set and display them. I use the getWeight() function of IloObjective. But, I do not know how to update the weights as i could not find any similar setWeight() function.

The callback implementation looks as follows:

class weightUpdateCallack: public IloCplex::Callback::Function
{
public:
    // Constructor with data
    weightUpdateCallack(IloCplex cplex) : obj(cplex.getEnv())
    {
        obj = cplex.getObjective();
    }

    void updateWeights(const IloCplex::Callback::Context& context)
    {
        qDebug() << "-----------------Callback--------------";
        qDebug() << "Name: " << obj.getName();
        qDebug() << "weight 1: " << obj.getWeight(1);
        qDebug() << "constant: " << obj.getConst();
    }

    virtual void invoke (const IloCplex::Callback::Context& context);

private:
    IloObjective obj;
};

void weightUpdateCallack::invoke(const IloCplex::Callback::Context &context)
{
    if(context.inCandidate())
        updateWeights(context);
}

The callback is invoked when a candidate solution is found, as follows:

// Use a callback function to update weights
weightUpdateCallack weightsUpdate(cplex);
cplex.use(&weightsUpdate, IloCplex::Callback::Context::Id::Candidate);

I use the IloStaticLex function to pass the bi-objective expression array along with arrays for weights and tolerances.

rkersh rkersh · Accepted Answer · 2019-11-19T21:14:51

It's not a coincidence that you did not figure out how to do this. As of CPLEX 12.9, updating the weights of the objectives in a multiobjective model during a solve is not supported. Furthermore, with the object-oriented APIs (i.e., C++, Java, .NET), it is not possible to modify one of the objectives after they have been created. In order to change the attributes of a multiobjective model in those APIs, you'll need to first remove the original objective, and then add a new multiobjective definition (using IloStaticLex as you did before).

See the section on Generic Callbacks in the CPLEX User's Manual to read about everything that is possible with this functionality.

Dynamic weights update for multi-objective binary integer problem using CPLEX

1 Answers